Rating AAA AA A BBB BB B CCC

AAA 81.25% 12.50% 0.00% 0.00% 0.00% 0.00% 0.00%

AA 0.00% 90.11% 6.50% 0.00% 0.00% 0.00% 0.00%
A 0.00% 0.82% 91.02% 4.01% 0.00% 0.00% 0.00%
BBB 0.00% 0.00% 2.62% 87.70% 3.23% 0.17% 0.06%
BB 0.00% 0.00% 0.00% 3.12% 80.37% 6.07% 0.23%
B 0.00% 0.00% 0.00% 0.00% 3.84% 74.00% 5.55%
CCC 0.00% 0.00% 0.00% 0.00% 0.99% 14.36% 40.59%

Category 0 1 2 3 4
AAA 0.00% 0.03% 0.13% 0.24%
AA 0.02% 0.06% 0.13% 0.23%
A 0.06% 0.15% 0.25% 0.38%
BBB 0.18% 0.51% 0.88% 1.33%
BB 0.72% 2.24% 4.02% 5.80%
B 3.76% 8.56% 12.66% 15.87%
CCC 26.78% 35.88% 40.96% 44.06%

B Nilai nominal $100 jt

Coupon 8.00%
Cash Flows $8.00 $8.00 $8.00 $8.00 $108.00
Y1 Y2 Y3 Y4 Y5

0 1 2 3 4 (+ 1 Yr)
AAA $8.00 $8.00 $7.995 $7.97 $106.97 $139 0.00%
AA $8.00 $7.998 $7.99 $7.97 $107.01 $139 0.00%
A $8.00 $7.995 $7.98 $7.94 $106.37 $138 0.00%
BBB $8.00 $7.99 $7.92 $7.79 $102.44 $134 0.00%
BB $8.00 $7.94 $7.65 $7.11 $86.19 $117 3.84%
B $8.00 $7.71 $6.79 $5.59 $59.92 $88 74.00%
CCC $8.00 $6.31 $4.33 $2.86 $25.08 $47 5.55%
Default $35 3.68%

5% VAR = $30
1% VAR = $42
 Default
0.00%
0.00%
0.00%
0.00%
0.47%
3.68%
32.67%

Mean Differensiasi Var

$0.0 $65.4 0
$0.0 $65.5 0
$0.0 $64.8 0
$0.0 $60.6 0
$4.5 $43.4 72
$65.1 $14.5 156
$2.6 -$26.9 40
$1.3 -$38.5 55
$73.5 $323
SD $18
Rating AAA AA A BBB BB B CCC Default
AAA 81.25% 12.50% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
AA 0.00% 90.11% 6.50% 0.00% 0.00% 0.00% 0.00% 0.00%
A 0.00% 0.82% 91.02% 4.01% 0.00% 0.00% 0.00% 0.00%
BBB 0.00% 0.00% 2.62% 87.70% 3.23% 0.17% 0.06% 0.00%
BB 0.00% 0.00% 0.00% 3.12% 80.37% 6.07% 0.23% 0.47%
B 0.00% 0.00% 0.00% 0.00% 3.84% 74.00% 5.55% 3.68%
CCC 0.00% 0.00% 0.00% 0.00% 0.99% 14.36% 40.59% 32.67%

Category 0 1 2 3 4
AAA 0.00% 0.03% 0.13% 0.24%
AA 0.02% 0.06% 0.13% 0.23%
A 0.06% 0.15% 0.25% 0.38%
BBB 0.18% 0.51% 0.88% 1.33%
BB 0.72% 2.24% 4.02% 5.80%
B 3.76% 8.56% 12.66% 15.87%
CCC 26.78% 35.88% 40.96% 44.06%

A Nilai nomi $100 jt

Coupon 7.50%
Cash Flows $7.50 $7.50 $7.50 $7.50 $107.50
Y1 Y2 Y3 Y4 Y5

0 1 2 3 4 (+ 1 Yr) Mean Differensia

AAA $7.50 $7.50 $7.496 $7.47 $106.47 $136 0.00% $0.0 $6.4
AA $7.50 $7.499 $7.49 $7.47 $106.52 $136 0.82% $1.1 $6.5
A $7.50 $7.496 $7.48 $7.44 $105.88 $136 91.02% $123.6 $5.8
BBB $7.50 $7.49 $7.42 $7.31 $101.97 $132 4.01% $5.3 $1.7
BB $7.50 $7.45 $7.17 $6.66 $85.80 $115 0.00% $0.0 -$15.4
B $7.50 $7.23 $6.36 $5.25 $59.64 $86 0.00% $0.0 -$44.0
CCC $7.50 $5.92 $4.06 $2.68 $24.96 $45 0.00% $0.0 -$84.9
Default $35 0.00% $0.0 -$95.0
$130.0
SD

5% VAR = $9
1% VAR = $13
Var
0.000
0.344
30.568
0.113
0.000
0.000
0.000
0.000
$31
$6
Matriks penilaian utang obligasi

AAA AA A BBB BB B
136 136 136 132 115 86
AAA 139 275.37 275.41 274.73 270.62 253.51 224.91
AA 139 275.41 275.45 274.77 270.65 253.55 224.95
A 138 274.73 274.76 274.08 269.97 252.87 224.26
BBB 134 270.58 270.61 269.94 265.82 248.72 220.11
BB 117 253.34 253.38 252.70 248.58 231.48 202.87
B 88 224.45 224.49 223.81 219.69 202.59 173.98
CCC 47 183.02 183.05 182.37 178.26 161.16 132.55
Default 35 171.44 171.48 170.80 166.68 149.58 120.98
B
 Matriks Joint Probability Portofolio

CCC Default AAA AA A BBB

45 35 A 0.00% 0.82% 91.02% 4.01%
184.05 173.93 AAA 0.00% 0.00% 0.00% 0.00% 0.00%
184.08 173.97 AA 0.00% 0.00% 0.00% 0.00% 0.00%
183.40 173.29 A 0.00% 0.00% 0.00% 0.00% 0.00%
179.25 169.14 BBB 0.00% 0.00% 0.00% 0.00% 0.00%
162.01 151.90 BB 3.84% 0.00% 0.03% 3.50% 0.15%
133.12 123.01 B 74.00% 0.00% 0.61% 67.35% 2.97%
91.69 81.57 CCC 5.55% 0.00% 0.05% 5.05% 0.22%
80.12 70.00 Default 3.68% 0.00% 0.03% 3.35% 0.15%
BB B CCC Default
0.00% 0.00% 0.00% 0.00%
0.00% 0.00% 0.00% 0.00%
0.00% 0.00% 0.00% 0.00%
0.00% 0.00% 0.00% 0.00%
0.00% 0.00% 0.00% 0.00%
0.00% 0.00% 0.00% 0.00%
0.00% 0.00% 0.00% 0.00%
0.00% 0.00% 0.00% 0.00%
0.00% 0.00% 0.00% 0.00%